In short, no. If you have broadband, all you need is the netinstall.iso CD. Everything will be downloaded over the internet, so you'll save a bunch of downloads. But if you do want the DVD, you can just download the first one. Debian packages stuff on the CD's and DVD's in order of most used components. So the base stuff is on CD/DVD 1, then alternative desktops, then most used applications, then applications used often, then least used applications, and on and on.
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